Access Statistics for Lucio Sarno

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Cross-Country Financial Accelerator: Evidence from North America and Europe 0 0 0 166 1 2 7 577
An Economic Evaluation of Empirical Exchange Rate Models 0 0 1 409 0 2 11 766
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 0 0 2 303 3 7 24 1,086
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 2 2 4 132 5 7 30 522
Arbitrage in the foreign exchange market: Turning on the microscope 0 0 0 467 3 9 24 1,754
Assessing the benefits of international portfolio diversification in bonds and stocks 0 0 0 312 0 0 4 1,302
Asset Prices and International Spillovers: An Empirical Investigation 0 0 0 54 0 0 1 205
Asset Prices, Exchange Rates and the Current Account 0 0 0 52 0 2 6 227
Asset prices, exchange rates and the current account 0 0 0 378 1 4 14 964
Asset prices, exchange rates and the current account 0 0 1 130 0 2 5 316
Business Cycles and Currency Returns 0 0 6 22 2 6 20 55
Business Cycles and Currency Returns 1 2 9 44 5 13 60 135
Carry Trades and Global FX Volatility 0 0 3 419 0 3 11 979
Carry Trades and Global Foreign Exchange Volatility 0 1 8 243 3 9 29 521
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 1 2 65 0 2 14 202
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 1 55 0 3 15 202
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 62 0 4 17 288
Comparing the Accuracy of Density Forecasts from Competing Models 0 0 0 0 0 0 6 340
Currency Momentum Strategies 1 2 9 83 2 10 40 369
Currency Momentum Strategies 0 1 6 263 3 10 67 1,367
Currency Momentum Strategies 0 0 1 136 1 6 26 480
Currency Premia and Global Imbalances 0 0 11 99 6 11 47 262
Currency Premia and Global Imbalances 1 2 10 58 1 12 46 138
Currency Value 0 0 1 104 1 1 8 160
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 1 97 0 1 4 253
European Capital Flows and Regional Risk 0 0 0 0 0 0 0 378
Exchange Rate Forecasting, Order Flow and Macroeconomic Information 0 0 0 172 2 6 14 511
Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability 0 0 1 261 0 1 8 617
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 0 173 1 2 6 384
Exchange Rates and Sovereign Risk 0 1 4 4 2 5 13 13
Exchange rate forecasting, order flow and macroeconomic information 0 0 0 297 1 3 11 635
Federal Funds Rate Prediction 0 0 0 482 0 2 2 6,423
Federal Funds Rate Prediction 0 0 0 205 0 0 4 1,912
Federal funds rate prediction 1 1 1 329 2 4 9 1,538
Foreign Exchange Intervention: A New Database 0 1 24 24 0 7 72 72
Foreign Exchange Risk and the Predictability of Carry Trade Returns 0 0 2 148 0 1 10 332
Foreign Exchange Volume 0 1 4 4 2 5 17 17
Foreign currency lending 1 1 4 43 3 10 46 249
Foreign exchange intervention: A new database 0 1 43 43 2 6 45 45
Hot Money, Accounting Labels and the Persistence of Capital Flows to Developing Countries: An Empirical Investigation 0 0 0 0 0 1 3 591
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 1 4 69 0 6 35 291
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 631 0 3 18 1,498
How well do monetary fundamentals forecast exchange rates? 0 0 1 812 1 4 19 2,484
Information flows in foreign exchange markets: dissecting customer currency trades 0 0 1 132 1 6 25 467
Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers 0 0 0 363 0 0 4 514
Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes 0 0 0 1 2 5 9 395
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 210 0 0 0 590
Monetary Policy Rules, Asset Prices and Exchange Rates 0 0 0 238 1 2 7 622
Monetary policy and learning in an open economy 0 0 0 148 0 3 6 432
Monetary policy and learning in an open economy 0 0 0 18 0 2 7 128
New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market 0 0 1 173 0 0 4 379
Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study 0 0 0 282 0 14 28 821
Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 0 0 0 133 0 1 8 409
Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 0 1 2 202 0 1 7 684
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 1 1 82 0 1 2 336
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 343 1 1 3 517
Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles 0 0 4 942 0 1 19 2,005
Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 1 1 303 0 2 6 687
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 1 2 161 1 2 5 454
Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work? 0 1 3 908 1 8 30 2,259
Properties of Foreign Exchange Risk Premia 0 0 0 150 0 1 11 405
Properties of Foreign Exchange Risk Premiums 0 0 1 77 0 2 11 246
Properties of Foreign Exchange Risk Premiums 0 0 1 74 0 2 7 156
Purchasing Power Parity and the Real Exchange Rate 0 0 2 1,189 0 2 13 3,756
Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion 0 0 0 0 0 2 3 844
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behaviour in the UK 0 0 0 0 0 11 32 636
Risky Bank Guarantees 0 0 0 13 0 2 15 61
Risky bank guarantees 0 0 1 18 0 2 12 33
Saving-Investment Correlations: Transitory versus Permanent 0 0 0 0 0 0 4 481
Spot and Forward Volatility in Foreign Exchange 0 0 2 572 0 5 29 1,804
The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period 0 0 2 383 3 9 21 1,242
The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation 1 1 1 560 2 5 9 3,156
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 0 124 0 2 3 423
The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value 0 0 0 106 1 4 10 455
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 298 0 3 10 794
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 520 2 3 15 1,290
The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence 0 0 0 217 0 1 1 598
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 3 109 0 3 18 201
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 41 0 1 4 163
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 1 245 0 1 3 612
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 62 0 2 9 217
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 57 1 4 15 211
The Term Structure Of Euromarket Interest Rates: Some New Evidence 0 0 0 193 0 0 4 292
The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation 0 0 0 522 1 2 9 2,117
The efficient market hypothesis and identification in structural VARs 0 0 0 253 1 1 3 883
The empirical failure of the expectations hypothesis of the term structure of bond yields 0 0 1 382 0 1 5 810
The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value 0 0 1 221 0 0 3 746
The scapegoat theory of exchange rates: the first tests 0 0 3 31 0 0 5 145
The scapegoat theory of exchange rates: the first tests 0 0 0 89 0 3 14 422
Volatility Risk Premia and Exchange Rate Predictability 0 0 1 59 1 3 11 165
What Do Stock Markets Tell Us About Exchange Rates? 0 0 1 41 0 2 11 109
What Drives International Portfolio Flows? 0 0 6 97 0 2 22 245
What do stock markets tell us about exchange rates? 0 0 3 85 0 3 15 154
What's unique about the federal funds rate? evidence from a spectral perspective 0 0 0 114 0 0 2 575
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 1 9 125 0 5 23 230
When is foreign exchange intervention effective? Evidence from 33 countries 0 1 7 90 1 5 27 123
Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective 0 0 0 88 0 3 10 263
Total Working Papers 8 26 225 19,694 73 338 1,457 68,222
1 registered items for which data could not be found


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A century of equity premium predictability and the consumption-wealth ratio: An international perspective 0 0 6 88 0 3 12 297
A cross-country financial accelerator: Evidence from North America and Europe 1 1 3 96 1 4 10 248
Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991 0 0 0 87 0 1 1 306
An Economic Evaluation of Empirical Exchange Rate Models 0 2 11 113 0 3 26 263
An empirical investigation of asset price bubbles in Latin American emerging financial markets 0 1 2 186 0 1 4 520
Arbitrage in the foreign exchange market: Turning on the microscope 7 8 44 294 35 51 178 1,106
Asset prices, exchange rates and the current account 0 0 3 111 1 2 9 358
Business cycles and currency returns 1 3 15 21 3 8 60 77
CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY 0 0 0 32 0 2 12 155
Capital Flows to Developing Countries: Long- and Short-Term Determinants 0 0 0 4 0 5 29 1,377
Carry Trades and Global Foreign Exchange Volatility 1 4 13 193 1 10 33 577
Comparing the accuracy of density forecasts from competing models 0 0 0 87 0 1 7 270
Composantes permanente et transitoire de l'épargne et de l'investissement: une étude empirique des flux internationaux de capitaux au Japon 0 0 0 4 0 1 1 56
Currency Premia and Global Imbalances 0 1 19 62 1 17 72 230
Currency Value 1 1 12 57 1 4 35 185
Currency momentum strategies 1 10 58 334 7 34 177 1,081
Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? 0 0 1 179 0 2 15 436
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 118 2 2 7 585
Empirical exchange rate models and currency risk: some evidence from density forecasts 0 0 2 120 0 0 6 274
Estimating the Mean‐reverting Component in Stock Prices: A Cross‐country comparison 0 0 0 0 0 0 1 1
European Capital Flows and Regional Risk 0 0 0 80 1 2 2 312
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 1 207 1 3 11 521
Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation 0 0 0 32 0 2 3 170
Exchange rate and interest rate volatility in the European Monetary System: some further results 0 0 0 48 0 0 4 166
Exchange rate forecasting, order flow and macroeconomic information 4 5 18 290 6 13 49 841
Exchange rates and fundamentals: evidence on the economic value of predictability 0 0 6 218 3 5 34 564
Federal Funds Rate Prediction 0 0 0 0 0 2 4 829
Foreign exchange risk and the predictability of carry trade returns 0 0 2 46 1 3 14 164
Global liquidity risk in the foreign exchange market 0 1 3 71 5 10 33 317
Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation 0 0 1 330 0 2 8 1,000
How the Subprime Crisis went global: Evidence from bank credit default swap spreads 0 1 8 134 0 2 28 475
How well do monetary fundamentals forecast exchange rates? 1 1 2 702 1 4 9 1,925
Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades 0 0 2 15 0 2 15 120
International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum 0 0 1 285 0 1 7 1,073
Mean reversion in stock index futures markets: A nonlinear analysis 0 1 1 2 0 3 4 27
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 1 231 0 0 5 709
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 0 0 0 0 3 3
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 157 0 2 9 540
Monetary Policy Rules, Asset Prices, and Exchange Rates 0 0 1 43 0 2 7 148
Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests 0 1 4 505 0 4 19 1,102
New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market 0 0 0 0 0 1 2 8
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 1 1 1 0 1 3 5
Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997 0 0 0 1 0 1 5 286
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 25 1 2 10 121
Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles 0 0 0 2 8 16 53 716
Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study 0 0 5 243 5 7 27 637
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 1 71 1 1 11 246
Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? 0 0 5 1,049 1 7 38 2,565
Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity 0 0 0 141 0 0 0 492
Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis 0 0 0 176 0 1 5 792
Properties of foreign exchange risk premiums 1 1 2 80 1 5 17 261
Purchasing Power Parity and the Real Exchange Rate 1 3 8 1,944 3 12 59 4,591
Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis 0 0 1 288 0 4 12 762
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K 0 0 1 110 0 0 1 269
Real exchange rate behavior in the Middle East: a re-examination 1 1 1 61 1 2 4 247
Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 0 0 2 148 1 1 5 390
Real exchange rates under the recent float: unequivocal evidence of mean reversion 0 0 1 113 0 0 5 344
Risky bank guarantees 0 0 4 9 2 4 33 51
Savings-Investment Correlations: Transitory versus Permanent 0 0 0 0 0 3 5 396
Short‐ and long‐run price level uncertainty under different monetary policy regimes: an international comparison 0 0 1 1 0 0 1 2
Special issue on advances in international money, macro and finance 0 0 0 44 0 0 0 137
Speculative Bubbles in U.K. House Prices: Some New Evidence 0 0 0 0 0 1 1 1
Spot and forward volatility in foreign exchange 0 0 2 133 0 2 19 480
Stochastic growth: Empirical evidence from the G7 countries 0 0 0 10 0 3 9 100
Systematic sampling and real exchange rates 0 0 0 24 0 1 4 85
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 0 65 1 2 5 249
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 0 0 3 8 9
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 58 0 3 8 190
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 7 100 0 6 32 329
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 2 157 4 20 45 479
The behavior of US public debt: a nonlinear perspective 0 0 0 122 0 0 3 354
The behavior of real exchange rates during the post-Bretton Woods period 0 2 14 387 1 8 58 1,040
The cost of carry model and regime shifts in stock index futures markets: An empirical investigation 0 0 0 8 0 0 4 41
The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation 1 2 5 277 1 4 14 1,096
The economic value of predicting bond risk premia 0 0 3 22 2 3 18 94
The efficient market hypothesis and identification in structural VARs 0 0 0 162 0 1 2 887
The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value 0 0 4 191 0 1 16 673
The market for lemmings: The herding behavior of pension funds 0 0 1 27 1 2 21 105
The out-of-sample success of term structure models as exchange rate predictors: a step beyond 1 1 4 329 1 5 18 900
The scapegoat theory of exchange rates: the first tests 0 1 6 79 0 5 26 305
The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence 0 0 2 6 0 0 4 19
Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers 0 0 1 6 0 1 2 24
Timing exchange rates using order flow: The case of the Loonie 0 0 1 35 2 3 5 143
Toward a new paradigm in open economy modeling: where do we stand? 0 0 0 24 0 0 3 84
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 0 0 1 2 1 1 4 7
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 1 1 2 377 1 3 9 729
Volatility risk premia and exchange rate predictability 0 0 19 87 4 14 73 314
What Do Stock Markets Tell Us about Exchange Rates? 0 1 2 26 0 4 13 104
What drives international portfolio flows? 0 2 8 58 1 3 17 159
What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective* 0 0 0 30 0 2 2 173
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 2 6 32 87 9 27 99 376
Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective 0 0 1 50 1 1 7 137
Total Journal Articles 25 63 390 13,028 124 410 1,808 42,412


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
The Economics of Exchange Rates 0 0 0 0 4 14 93 584
Total Books 0 0 0 0 4 14 93 584


Statistics updated 2021-11-05